You could always use the Windows API MessageBox() function directly (through windows.h), if you don't care about platform independency. For example:
Code:
#include <windows.h>
#include <SDL.h>
int main(int argc, char* argv[])
{
if (SDL_Init(SDL_INIT_VIDEO | SDL_INIT_TIMER | SDL_INIT_AUDIO) != 0)
{
MessageBox(NULL, "Could not initialize SDL.", "Error", MB_OK | MB_ICONERROR);
return 1;
}
// code
}
A portable way would be to use SDL in conjunction with wxWidgets, although I am not certain exactly how you would do that (haven't tried it myself).